The squared ornstein-uhlenbeck market

Mathematical Finance

Volumn 14, Issue 4, 2004, Pages 487-513

  Aquilina, J ^a,b   Rogers, L C G ^b,c  

^a UNIVERSITY OF BATH   (United Kingdom)

^b UNIVERSITY OF CAMBRIDGE   (United Kingdom)

^c University of Bath   (United Kingdom)

Author keywords

Consumption investment; Dynamic equilibrium; Hypergeometric function; Squared bessel process

Indexed keywords

EID: 7444231675     PISSN: 09601627     EISSN: None     Source Type: Journal    
DOI: 10.1111/j.0960-1627.2004.00202.x     Document Type: Article

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